If you're buying used, you'll probably get a better deal and possibly a better quality game if you buy from a local private collector. Retailers obtain games and fix them up in order to sell, and only spend as much time working on them as will turn a profit (not that there's anything wrong with that!). Usually this involves a surface cleaning and some play testing to make sure everything seems to work.
Many collectors, meanwhile, take a lot of pride in their collections, and like to show them off, so they go the extra mile to make sure a game looks good and works flawlessly. Also, a collector is in a better position to discover and fix any problems that aren't immediately obvious, since they and their guests play the game over a longer period of time. And when they grow bored of a game and go to sell, sure, they'd like to make money, but a hobbyist is not under the same kind of strict obligation for profit that a retailer is.
There are all kinds of collectors out there, though, and not all of them are scrupulous and not all of them are meticulous. I'm sure some will disagree with my next point, but one of the best ways to verify the character of a private seller is to see if they have an account here on Pinside and are active and respected in the community. Browse their forum posts a bit to see what they're like. I'm not at all suggesting that people on Pinside are better than those who aren't -- just saying it's an easy way to verify what they're about. That's one of the biggest benefits of the Pinside marketplace and community.
Also, I agree with fosaisu that you should definitely buy local for your first machine. Go play it in person before you buy it. I would hate to see a newcomer's interest in pinball soured because a game arrived in a different condition than expected!